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Forecasting exchange rate volatility using conditional variance models selected by information criteria

Brooks, Chris - 1998

Persistent link: https://www.econbiz.de/10000982695

Brooks, Chris; Burke, Simon P.; Heravi, Saeed M.; … - In: Journal of financial econometrics : official journal of … 3 (2005) 3, pp. 399-421

Persistent link: https://www.econbiz.de/10002989106

Selecting from amongst non-nested conditional variance models : information criteria and portfolio determination

Brooks, Chris; Burke, Simon P. - In: The Manchester School 70 (2002) 6, pp. 747-767

Persistent link: https://www.econbiz.de/10001720409

Multivariate GARCH models : software choice and estimation issues

Brooks, Chris; Burke, Simon P.; Persand, Gita - In: Journal of applied econometrics 18 (2003) 6, pp. 725-734

Persistent link: https://www.econbiz.de/10001843509

Information criteria for GARCH model selection

Brooks, Chris; Burke, Simon P. - In: The European journal of finance 9 (2003) 6, pp. 557-580

Persistent link: https://www.econbiz.de/10001885626

Benchmarks and the accuracy of GARCH model estimation

Brooks, Chris; Burke, Simon P.; Persand, Gita - In: International journal of forecasting 17 (2001) 1, pp. 45-56

Persistent link: https://www.econbiz.de/10001549775

Selecting from amongst non-nested conditional variance models : information criteria and portfolio determination

Brooks, Chris; Burke, Simon P. - 1999

Persistent link: https://www.econbiz.de/10001405756

Selecting from Amongst Non-Nested Conditional Variance Models : Information Criteria and Portfolio Determination

Brooks, Chris; Burke, Simon - 2003

We consider the finite sample properties of model selection by information criteria in conditionally heteroscedastic models. Recent theoretical results show that certain popular criteria are consistent in that they will select the true model asymptotically with probability 1. To examine the...

Persistent link: https://www.econbiz.de/10014092939